UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

FORM N-Q

 

QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED

MANAGEMENT INVESTMENT COMPANY

 

Investment Company Act file number 811-22874           

 

THL CREDIT SENIOR LOAN FUND 

 

 (Exact name of registrant as specified in charter)

 

100 Wall Street, 11th Floor

New York, NY 10005 

 

(Address of principal executive offices) (Zip code)

 

Stephanie Trell

100 Wall Street, 11th Floor

New York, NY 10005 

 

(Name and address of agent for service)

 

Copies of Communications to:

Stephen H. Bier

Dechert LLP

1095 Avenue of the Americas

New York, NY 10036

 

Registrant's telephone number, including area code: (212) 701-4500          

 

Date of fiscal year end: December 31

 

Date of reporting period: March 31, 2016

 

Form N-Q is to be used by management investment companies, other than small business investment companies registered on Form N-5 (§§ 239.24 and 274.5 of this chapter), to file reports with the Commission, not later than 60 days after the close of the first and third fiscal quarters, pursuant to rule 30b1-5 under the Investment Company Act of 1940 (17 CFR 270.30b1-5). The Commission may use the information provided on Form N-Q in its regulatory, disclosure review, inspection, and policymaking roles.

 

A registrant is required to disclose the information specified by Form N-Q, and the Commission will make this information public. A registrant is not required to respond to the collection of information contained in Form N-Q unless the Form displays a currently valid Office of Management and Budget ("OMB") control number. Please direct comments concerning the accuracy of the information collection burden estimate and any suggestions for reducing the burden to the Secretary, Securities and Exchange Commission, 100 F Street, NE, Washington, DC 20549. The OMB has reviewed this collection of information under the clearance requirements of 44 U.S.C. § 3507.

 

 

 

 

 

 

Item 1. Schedule of Investments.

The Schedule(s) of Investments is attached herewith.

 

 

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) March 31, 2016

Investments  Principal   Value 
SENIOR LOANS(a) – 130.4% (92.5% of Total Investments)          
           
Aerospace & Defense – 1.9%          
AM General LLC., Term B Facility - First Lien, 10.250%, 03/22/18  $2,193,590   $1,634,224 
Pelican Products, Inc., Term Loan - Second Lien, 9.250%, 04/09/21(b)   1,000,000    842,500 
Total Aerospace & Defense        2,476,724 
Automotive – 2.2%          
Chrysler Group LLC, Tranche B Term Loan - First Lien, 3.500%, 05/24/17   430,363    430,931 
Neenah Enterprises (Neenah Foundry), Term Loan - First Lien, 6.750%, 04/26/17(b)   2,404,606    2,362,526 
Total Automotive        2,793,457 
Banking, Finance, Insurance & Real Estate – 3.1%          
Armor Holdco, Inc. (American Stock Transfer), Term Loan - First Lien, 5.750%, 06/26/20   476,981    465,653 
Confie Seguros Holding II Co., Term Loan - Second Lien, 10.250%, 05/09/19(b)   500,000    458,750 
GENEX Services, Inc., Term Loan B - First Lien, 5.250%, 05/28/21(b)   982,500    967,763 
GENEX Services, Inc., Initial Term Loan - Second Lien, 8.750%, 05/30/22(b)   250,000    230,625 
RJO Holdings Corp., Term Loan - First Lien, 6.980%, 12/10/16(b)   1,145,601    990,945 
SG Acquisition Inc. (Safe Gard), Initial Term Loan - First Lien, 6.250%, 08/19/21(b)   823,095    808,691 
Total Banking, Finance, Insurance & Real Estate        3,922,427 
Beverage, Food & Tobacco – 3.1%          
Arctic Glacier U.S.A., Inc., 2014 Term B Loan - First Lien, 6.000%, 05/10/19(b)   2,443,669    2,333,704 
Flavors Holdings Inc., Tranche B Term Loan - First Lien, 6.750%, 04/03/20(b)   925,000    832,500 
Flavors Holdings Inc., Initial Term Loan - Second Lien, 11.000%, 10/03/21(b)   1,000,000    845,000 
Total Beverage, Food & Tobacco        4,011,204 
Capital Goods – 0.6%          
Crosby US Acquisition Corp., Initial Term Loan - First Lien, 4.000%, 11/23/20   977,500    806,442 
Chemicals, Plastics & Rubber – 0.5%          
Vertellus Specialities, Inc., Term Loan - First Lien, 10.500%, 10/31/19   985,000    587,306 
Construction & Engineering – 1.8%          
Power Buyer, LLC (Powerteam Services), Initial Term Loan - Second Lien, 8.250%, 11/06/20(b)   2,500,000    2,350,000 
Consumer Products: Durables – 1.1%          
Paladin Brands Holding, Inc., Initial Loan - First Lien, 7.250%, 08/16/19(b)   1,743,030    1,446,715 
Consumer Products: Non Durables – 3.4%          
Calceus Acquisition, Inc. (Cole Haan), Term B-1 Loan - First Lien, 5.000%, 01/31/20   2,947,442    2,170,055 
Varsity Brands, Inc. (Hercules Achievement), Term B Loan - First Lien, 5.000%, 12/11/21   1,975,000    1,974,180 
Vince Intermediate Holding LLC, Initial Term Loan - First Lien, 5.750%, 11/27/19(b)   257,143    235,286 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) March 31, 2016

Investments  Principal   Value 
SENIOR LOANS (continued)          
           
Consumer Products: Non Durables – 3.4% (continued)          
Total Consumer Products: Non Durables       $4,379,521 
Consumer Products: Packaged Food – 1.1%          
Keurig Green Mountain (Maple Holdings Acquisition Corp.), Term B USD Loans - First Lien, 5.25%, 03/03/23  $1,367,407    1,368,542 
Energy, Oil & Gas – 3.4%          
Chelsea Petroleum Products I LLC, Term B - First Lien, 6.750%, 07/22/22   1,962,353    1,844,612 
HGIM Corp. (Harvey Gulf), Term Loan B - First Lien, 5.500%, 06/18/20   2,929,900    1,600,458 
Stonewall Gas Gathering LLC, Term Loan - First Lien, 8.750%, 01/28/22(b)   862,795    854,167 
Total Energy, Oil & Gas        4,299,237 
Healthcare & Pharmaceuticals – 3.6%          
Alvogen Pharma US Inc., Term Loan - First Lien, 6.000%, 04/01/22   2,845,211    2,806,090 
BioScrip, Inc., Initial Term B Loan - First Lien, 6.500%, 07/31/20   1,232,394    1,113,259 
BioScrip, Inc., Term Loan - First Lien, 6.500%, 07/31/20   739,437    667,955 
Total Healthcare & Pharmaceuticals        4,587,304 
Hotel, Gaming & Leisure – 4.4%          
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-1 - First Lien, 7.000%, 02/28/19(b)   817,736    818,758 
ALG USA Holdings, LLC (Apple Leisure Group), Term Loan B-2 - First Lien, 7.000%, 02/28/19(b)   1,083,975    1,085,330 
Caesars Entertainment Resort Properties LLC, Term B Loan - First Lien, 7.000%, 10/12/20   1,974,949    1,832,753 
Parq Holdings LP, Term Loan - First Lien, 8.500%, 12/17/20(b)   2,000,000    1,875,000 
Total Hotel, Gaming & Leisure        5,611,841 
Manufacturing – 4.4%          
CPM Holdings, Inc., Initial Term Loan - First Lien, 6.000%, 04/11/22(b)   2,084,250    2,060,802 
Gates Global Inc., Initial Term Loan - First Lien, 4.250%, 07/05/21   2,427,028    2,297,340 
Preferred Proppants LLC (Preferred Sands), Term Loan - First Lien, 6.750%, 07/27/20(b)   2,955,000    1,241,100 
Total Manufacturing        5,599,242 
Media: Advertising, Printing & Publishing – 7.1%          
Cengage Learning Acquisitions, Inc., Term Loan - First Lien, 7.000%, 03/31/20   3,845,642    3,835,354 
Getty Images, Inc., Initial Term Loan - First Lien, 4.750%, 10/18/19   1,969,466    1,473,239 
Harland Clarke Hldgs., Tranche B-3 Term Loans - First Lien, 7.000%, 05/22/18   3,725,000    3,683,094 
Total Media: Advertising, Printing & Publishing        8,991,687 
Media: Broadcasting & Subscription – 1.3%          
CSC Holdings, Inc., (Cablevision / Altice Financing / Neptune Finco), Initial Term Loans - First Lien, 5.000%, 10/10/22   500,000    501,445 
Tribune Media Co., Term B Loan - First Lien, 3.750%, 12/27/20(b)   1,251,679    1,164,061 
Total Media: Broadcasting & Subscription        1,665,506 
Media: Diversified and Services – 7.9%          
Extreme Reach, Inc., Initial Term Loan - First Lien, 6.750%, 02/07/20   1,374,726    1,372,431 
IMG Worldwide, Inc., Term Loan - First Lien, 5.250%, 05/03/21   1,965,000    1,967,466 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) March 31, 2016

Investments  Principal   Value 
SENIOR LOANS (continued)          
           
Media: Diversified and Services – 7.9% (continued)          
Learfield Communications, Inc., 2014 Replacement Term Loan - First Lien, 4.500%, 10/09/20  $984,422   $980,730 
Match Group, Inc., Term B-1 Loans - First Lien, 5.500%, 10/27/22   1,203,516    1,207,283 
Mood Media Corporation, Term Loan - First Lien, 7.000%, 05/01/19   4,900,000    4,588,384 
Total Media: Diversified and Services        10,116,294 
Metals & Mining – 0.3%          
TMS International Corp. (Tube City), Term Loan B - First Lien, 4.500%, 10/16/20(b)   482,330    429,274 
Packaging – 1.5%          
BWAY Holding Co. (ICL Industrial Containers ULC/ICL), Initial Term Loan - First Lien, 5.500%, 08/14/20   1,965,000    1,910,963 
Paper & Forest Products – 0.7%          
Caraustar Industries, Inc., Term Loan C - First Lien, 8.000%, 05/01/19   976,428    954,458 
Restaurants – 3.6%          
CEC Entertainment, Inc., Tranche B Term Loan - First Lien, 4.250%, 02/15/21   1,960,000    1,910,510 
Restaurant Brands International, Inc., (Burger King), Term B - First Lien, 3.750%, 12/10/21   753,245    753,874 
Steak n Shake Operations, Inc., Term Loan - First Lien, 4.750%, 03/19/21(b)   1,915,673    1,886,938 
Total Restaurants        4,551,322 
Retail – 9.9%          
Albertson's Holdings LLC, Term Loan B-4 - First Lien, 5.500%, 08/25/21   1,980,000    1,985,445 
Albertson's LLC, Term Loan B-5 - First Lien, 5.500%, 12/01/22   1,496,250    1,500,260 
Charming Charlie LLC, Initial Term Loan - First Lien, 9.000%, 12/24/19(b)   980,000    744,800 
CWGS Group LLC (Camping World), Term Loan B - First Lien, 5.750%, 02/20/20   2,533,301    2,486,854 
FullBeauty Brands LP / OSP Group, Inc. (a/k/a OneStopPlus Group & Redcats USA), Initial Term Loans - First Lien, 5.75%, 10/14/22   1,000,000    950,830 
J. Crew Group, Inc., Initial Loans - First Lien, 4.000%, 03/05/21   496,212    389,293 
Jill Acquisition LLC, Term Loan - First Lien, 6.000%, 05/08/22(b)   1,044,750    997,736 
PET Acquisition Merger Sub LLC  (Petco), Tranche B-1 Term Loan - First Lien, 5.75%, 01/26/23   589,979    590,634 
PetSmart, Inc., Tranche B-1 Loan - First Lien, 4.250%, 03/11/22   992,500    989,979 
Staples, Inc., Initial Loan - First Lien, 4.75%, 02/02/22   2,000,000    2,001,390 
Total Retail        12,637,221 
Services: Business – 14.5%          
Affinion Group Holdings, Inc., Tranche B Term Loan - First Lien, 6.750%, 04/30/18   355,492    316,262 
Centerplate, Inc. (KPLT), Term Loan A - First Lien, 4.750%, 11/26/19   980,000    908,950 
Checkout Holding Corp., Term Loan B - First Lien, 4.500%, 04/09/21   2,947,500    2,525,639 
CT Technologies Intermediate Holdings, Inc. (HealthPort), Initial Term Loan - First Lien, 5.250%, 12/01/21   1,975,075    1,949,152 
Deluxe Entertainment Services Group, Inc., Initial Term Loan - First Lien, 6.500%, 02/28/20   1,899,801    1,811,935 
eResearchTechnology, Inc., Term Loans - First Lien, 5.500%, 05/08/22   1,488,750    1,488,289 
Novitex Acquisition LLC (Pitney Bowes), Tranche B-2 Term Loan - First Lien, 7.500%, 07/07/20(b)   1,947,500    1,772,225 

 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) March 31, 2016

Investments  Principal   Value 
SENIOR LOANS (continued)          
           
Services: Business – 14.5% (continued)          
RentPath, Inc., Term Loan - First Lien, 6.250%, 12/17/21  $1,975,000   $1,617,031 
RentPath, Inc., Term Loan - Second Lien, 10.000%, 12/19/22   1,000,000    789,165 
Solera Holdings, Inc., Dollar Term Loan - First Lien, 5.75%, 02/28/23   942,857    943,616 
SourceHOV LLC, Term B Loan - First Lien, 7.750%, 10/31/19(b)   1,434,375    925,172 
TCH-2 Holdings LLC (TravelClick), Term Loan - First Lien, 5.500%, 05/12/21(b)   1,965,886    1,877,421 
TCH-2 Holdings LLC (TravelClick), Initial Term Loan - Second Lien, 8.750%, 11/12/21(b)   1,750,000    1,557,500 
Total Services: Business        18,482,357 
Services: Consumer – 7.9%          
Fitness International LLC (LA Fitness), Term Loan B - First Lien, 5.500%, 07/01/20   982,500    949,955 
Jackson Hewitt Tax Service, Inc., Initial Term Loan - First Lien, 8.000%, 07/30/20   1,000,000    976,250 
New Millennium Holdco, Inc. and Millennium Health, LLC Closing Date Term Loan - First Lien, 7.500%, 12/21/20   1,014,526    967,604 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan (2013) - First Lien, 6.500%, 07/01/19   2,846,251    2,839,135 
Pre-Paid Legal Services, Inc. (Legalshield), Term Loan - Second Lien, 10.250%, 07/01/20   1,500,000    1,485,000 
Renaissance Learning, Inc., Initial Term Loan - First Lien, 4.500%, 04/09/21   1,960,000    1,907,335 
Renaissance Learning, Inc., Initial Term Loan - Second Lien, 8.000%, 04/11/22   1,000,000    892,500 
Total Services: Consumer        10,017,779 
Services: Rental – 0.3%          
North American Lifting Holdings, Inc. (TNT Crane), Initial Term Loan - Second Lien, 10.000%, 11/26/21   500,000    360,000 
Technology: Contract Manufacturing – 1.0%          
TTM Technologies, Inc., Term B Loan - First Lien, 6.000%, 05/31/21(b)   1,375,489    1,308,434 
Technology: Hardware – 2.1%          
Eastman Kodak Company, Term Loan - First Lien, 7.250%, 09/03/19   974,937    935,940 
Zebra Technologies Corp., Term Loan B - First Lien, 4.750%, 10/27/21   1,777,273    1,790,176 
Total Technology: Hardware        2,726,116 
Technology: Semiconductor – 0.5%          
M/A-COM Technology Solutions Holdings, Inc., Initial Term Loan - First Lien, 4.500%, 05/07/21   626,344    625,692 
Technology: Services – 11.2%          
Ability Networks, Inc., Initial Term Loan - Second Lien, 9.250%, 05/16/22(b)   1,000,000    955,000 
Ancestry.com, Inc., Initial Term Loan - First Lien, 5.000%, 08/29/22   1,751,200    1,745,360 
AP Gaming I LLC (American Gaming Systems), Term B Loan - First Lien, 9.250%, 12/20/20   989,873    920,583 
ConvergeOne Holdings Corporation, Initial Term Loan - First Lien, 6.000%, 06/17/20(b)   1,473,750    1,425,853 
First Data Corp., 2018B New Term Loan - First Lien, 3.710%, 09/24/18   1,500,000    1,499,535 
MH Sub I LLC & Micro (Internet Brands), Term Loan - First Lien, 5.000%, 07/08/21   1,965,847    1,958,485 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) March 31, 2016

Investments  Principal   Value 
SENIOR LOANS (continued)          
           
Technology: Services – 11.2% (continued)          
PGX Holdings, Inc. (Progrexion), Initial Term Loan - First Lien, 5.750%, 09/29/20  $1,904,286   $1,898,725 
Scientific Games International, Inc., Term Loan B-2 - First Lien, 6.000%, 10/01/21   3,950,000    3,835,825 
Total Technology: Services        14,239,366 
Technology: Software – 10.3%          
Compuware Corp., Tranche B2 Term Loan - First Lien, 6.250%, 12/15/21   1,481,250    1,422,466 
Deltek, Inc. Term Loan - Second Lien, 9.500%, 06/26/23   1,000,000    965,000 
GTCR Valor Companies, Inc. (Cision Vocus), Incremental B-1 Term Loans - First Lien, 6.000%, 05/30/21   1,969,977    1,957,665 
Hyland Software, Inc. Initial Loans - Second lien, 8.500%, 05/27/23   1,000,000    946,250 
Lanyon Solutions, Inc., Term Loan - First Lien, 5.500%, 11/13/20   2,452,362    2,340,473 
Riverbed Technology, Inc., Term Loan - First Lien, 6.000%, 04/24/22   990,000    994,376 
RP Crown Parent LLC (Red Prairie), Term Loan B - First Lien, 6.000%, 12/21/18   1,462,566    1,362,014 
RP Crown Parent LLC (Red Prairie), Term Loan - Second Lien, 11.250%, 12/21/19   2,000,000    1,615,000 
SolarWinds, Inc., Initial US Term Loan - First Lien, 6.5%, 02/03/23   1,500,000    1,488,750 
Total Technology: Software        13,091,994 
Telecommunications – 10.1%          
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-1 Term Loan - First Lien, 5.000%, 05/24/19   725,889    717,117 
Asurion Delivery and Installation Services, Inc., Incremental Tranche B-4 Term Loan - First Lien, 5.000%, 08/04/22   1,970,000    1,931,841 
Asurion Delivery and Installation Services, Inc., Term Loan - Second Lien, 8.500%, 03/03/21   1,000,000    942,500 
Avaya, Inc., Replacement Term B-6 - First Lien, 6.500%, 03/31/18   1,306,662    973,463 
Avaya, Inc., Refinancing Term B-7 - First Lien, 6.250%, 05/29/20   1,976,307    1,330,124 
Birch Communications, Inc., Term Loan - First Lien, 7.750%, 07/17/20(b)   1,925,000    1,684,375 
Communications Sales & Leasing, Inc. (CSL Capital, LLC / Windstream), Term Loan - First Lien, 5.000%, 10/24/22   1,985,000    1,927,306 
Fairpoint Communications, Inc., Term Loan - First Lien, 7.500%, 02/14/19   979,454    974,047 
IPC Corp., Term Loans - Second Lien, 10.500%, 02/06/22(b)   1,000,000    835,000 
Ntelos Inc., Term B Advance - First Lien, 5.750%, 11/11/19(b)   1,599,526    1,591,528 
Total Telecommunications        12,907,301 
Transportation: Services – 2.7%          
Commercial Barge Line Co. (American Commercial Lines), Initial Term Loan - First Lien, 9.750%,
11/12/20(b)		   1,335,938    1,205,683 
Gruden Acquisition, Inc. (Quality Distribution LLC), Term Loan - Second Lien, 9.500%, 08/18/23(b)   500,000    375,000 
Sirva Worldwide, Inc., Term Loan - First Lien, 7.500%, 03/27/19(b)   1,906,706    1,816,138 
Total Transportation: Services        3,396,821 
Waste Management – 1.5%          
Energy Solutions LLC (Envirocare of Utah), Term Advance - First Lien, 6.750%, 05/29/20(b)   2,110,179    1,962,466 
Wholesale – 1.4%          
4L Technologies, Inc. (Clover Technologies), Initial Term Loan - First Lien, 5.500%, 05/08/20   918,754    831,473 

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) March 31, 2016

Investments  Principal   Value 
SENIOR LOANS (continued)          
           
Wholesale – 1.4% (continued)          
FPC Holdings, Inc. (Fleetpride), Initial Term Loan - First Lien, 5.250%, 11/19/19(b)  $1,169,764   $953,357 
Total Wholesale        1,784,830 
Total Senior Loans
(Cost $178,969,887)		        166,399,843 
CORPORATE BONDS – 7.5% (5.3% of Total Investments)          
Aerospace & Defense – 0.7%          
Constellis Holdings LLC / Constellis Finance Corp., 9.750%, 05/15/20‡   1,000,000    879,050 
Chemicals, Plastics & Rubber – 1.1%          
Aruba Investments, Inc., 8.750%, 02/15/23‡   1,500,000    1,432,500 
Media: Advertising, Printing & Publishing – 1.1%          
Getty Images, Inc., 7.000%, 10/15/20‡   1,000,000    458,750 
Harland Clarke Holdings Corp., 6.875%, 03/01/20‡   1,000,000    885,000 
Total Media: Advertising, Printing & Publishing        1,343,750 
Media: Broadcasting & Subscription – 1.5%          
CCO Holdings LLC / CCO Holdings Capital Corp., 5.875%, 04/01/24‡   184,000    193,085 
Radio One, Inc., 7.375%, 04/15/22‡   2,000,000    1,767,500 
Total Media: Broadcasting & Subscription        1,960,585 
Retail – 0.4%          
GameStop Corp., 6.75%, 03/15/21‡   500,000    484,375 
Services: Business – 0.5%          
Solera LLC / Solera Finance, Inc., 10.5%, 03/01/24‡   680,000    684,250 
Services: Rental – 0.1%          
Avis Budget Car Rental LLC / Avis Budget Finance, Inc., 6.375%, 04/01/24‡   92,000    92,188 
Technology: Software – 1.2%          
Blue Coat Holdings, Inc., 8.375%, 06/01/23‡   1,500,000    1,546,875 
Telecommunications – 0.9%          
Frontier Communications Corp., 8.875%, 09/15/20‡   1,048,000    1,093,008 
Total Corporate Bonds
(Cost $10,093,038)		        9,516,581 
           
    Shares      
COMMON STOCK – 0.4% (0.3% of Total Investments)          
Services: Consumer – 0.4%          
New Millennium Holdco, Inc.
(Cost $215,986)		   29,712    462,393 
MONEY MARKET FUND – 2.7% (1.9% of Total Investments)          
Morgan Stanley Institutional Liquidity Treasury Portfolio - Institutional Share Class, 0.22%(c)
(Cost $3,423,067)		   3,423,067    3,423,067 
Total Investments in Securities - 141.0%
(Cost $192,701,978)		        179,801,884 
Line of Credit Payable (Cost $53,000,000) – (41.6)%        (53,000,000)

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (continued) March 31, 2016

Investments     Value 
Other Assets in Excess of Liabilities – 0.6%      $749,800 
Net Assets – 100.0%       $127,551,684 

  

 

‡ Security was purchased pursuant to Rule 144A under the Securities Act of 1933 and may not be resold subject to that rule except to qualified institutional buyers. Total fair value of Rule 144A securities amounts to $9,516,581 which represents approximately 7.5% of net assets as of March 31, 2016. Unless otherwise noted, 144A securities are deemed to be liquid.
(a) Senior loans pay interest at rates that are periodically determined on the basis of a floating benchmark lending rate plus a spread. The most popular benchmark lending rate is the London Interbank Offered Rate (“LIBOR”). LIBOR is based on rates that contributor banks in London charge each other for interbank deposits and is typically used to set coupon rates on floating rate debt securities. The rate shown represents the contractual rate (benchmark rate or floor plus spread) in effect at period end. Senior Loans often require prepayments from excess cash flow or permit the borrower to repay at its election. The degree to which borrowers repay, whether as a contractual requirement or at their election, cannot be predicted with accuracy. As a result, the actual maturity may be substantially less than the stated maturity shown.
(b) Fair Value Level 3 security. All remaining securities are categorized as Level 2.
(c) Rate shown reflects the 7-day yield as of March 31, 2016.

 

See Notes to Schedule of Investments

 

 

 

  

THL Credit Senior Loan Fund  
Schedule of Investments (unaudited) (concluded) March 31, 2016

SUMMARY OF SCHEDULE OF INVESTMENTS  % of Net Assets 
Aerospace & Defense   2.6%
Automotive   2.2 
Banking, Finance, Insurance & Real Estate   3.1 
Beverage, Food & Tobacco   3.1 
Capital Goods   0.6 
Chemicals, Plastics & Rubber   1.6 
Construction & Engineering   1.8 
Consumer Products: Durables   1.1 
Consumer Products: Non Durables   3.4 
Consumer Products: Packaged Food   1.1 
Energy, Oil & Gas   3.4 
Healthcare & Pharmaceuticals   3.6 
Hotel, Gaming & Leisure   4.4 
Manufacturing   4.4 
Media: Advertising, Printing & Publishing   8.2 
Media: Broadcasting & Subscription   2.8 
Media: Diversified and Services   7.9 
Metals & Mining   0.3 
Packaging   1.5 
Paper & Forest Products   0.7 
Restaurants   3.6 
Retail   10.3 
Services: Business   15.0 
Services: Consumer   8.3 
Services: Rental   0.4 
Technology: Contract Manufacturing   1.0 
Technology: Hardware   2.1 
Technology: Semiconductor   0.5 
Technology: Services   11.2 
Technology: Software   11.5 
Telecommunications   11.0 
Transportation: Services   2.7 
Waste Management   1.5 
Wholesale   1.4 
Money Market Fund   2.7 
Total Investments   141.0 
Line of Credit Payable   (41.6)
Other Assets in Excess of Liabilities   0.6 
Net Assets   100.0%

 

See Notes to Schedule of Investments

 

 

 

 

THL Credit Senior Loan Fund  
Notes to the Schedule of Investments (unaudited) March 31, 2016

 

1. ORGANIZATION

 

THL Credit Senior Loan Fund (the “Fund”) is a non-diversified, closed-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund is an unincorporated business trust established under the laws of Delaware by an Agreement and Declaration of Trust dated July 30, 2013. The Fund commenced operations on September 20, 2013. The Fund’s investment objective is to provide current income and preservation of capital primarily through investments in U.S. dollar-denominated senior secured corporate loans and notes (“Senior Loans”). Under normal market conditions, the Fund will invest 100% of its Managed Assets in the securities of issuers located in North America and does not currently intend to invest a material amount of its Managed Assets outside the United States. For the purposes of complying with these requirements, an issuer will be located in North America if its legal domicile is in North America or if the legal domicile of any co-issuer that is controlling, controlled by or under common control with the issuer is in North America where the co-issuer is (i) 100% responsible for the payment of principal and interest on the loan or security and (ii) the Fund has direct recourse against the co-issuer in the United States courts in the event that 100% of the payment of principal and interest on the securities is not made. Investments in issuers deemed to be located in the United States for these purposes will be deemed to be investments in the United States. Four Wood Capital Advisors LLC (the “Adviser” or “FWCA”) serves as the Fund’s investment adviser (the “Adviser”). FWCA has engaged THL Credit Advisors LLC (the “Sub-adviser” or “THL Credit”) to serve as the sub-adviser to the Fund.

 

2. SIGNIFICANT ACCOUNTING POLICIES

 

The Fund is an investment company that applies the accounting and reporting guidance issued in Topic 946 by the U.S. Financial Accounting Standards Board. The Fund’s financial statements have been prepared to comply with U.S. generally accepted accounting principles (“U.S. GAAP”). These principles require the Fund’s investment adviser to make estimates and assumptions that affect reported amounts and disclosures. Actual results could differ from those estimates. The Fund follows the significant accounting policies described in this section, as well as the valuation policies described in the next section on valuation.

 

The following summarizes the significant accounting policies followed by the Fund in the preparation of its financial statements.

 

Securities Valuation: The Fund holds portfolio securities that are fair valued at the close of each day on the New York Stock Exchange (“NYSE”), normally at 4:00 P.M., Eastern Time. Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants on the measurement date. The Board of Trustees (the “Board”) has delegated fair valuation responsibilities to a valuation committee (the “Committee”), subject to the Board’s supervision and direction, through the adoption of procedures for valuation of the Fund’s securities (the “Valuation Procedures”). The Committee consists of certain designated individuals of the Fund’s Adviser and Sub-adviser. Under the current Valuation Procedures, the Committee is responsible for, among other things, determining and monitoring the value of the Fund’s assets. The Valuation Procedures allow the Fund to utilize independent pricing vendor services, quotations from market makers and other valuation methods in events when market quotations are not readily available or not representative of the fair value of the securities.

 

The Fund’s securities are valued by various methods, as described below:

 

Senior Loans shall be valued at prices supplied by the Fund’s pricing agent based on broker-dealer supplied valuations (including mid or average prices) and other criteria or directly by independent brokers when the pricing agent does not provide a price or the Valuation Committee does not believe that the pricing agent price reflects the current market value. If a price of a position is sought using independent brokers, the Sub-adviser shall seek to obtain an evaluation bid price from at least two independent brokers who are knowledgeable about the position. The price of the position would be deemed to be an average of such bid prices.

 

 

 

  

THL Credit Senior Loan Fund  
Notes to the Schedule of Investments (unaudited) (continued) March 31, 2016

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Fixed income securities shall be valued at prices supplied by the Fund’s pricing agent based on broker-dealer supplied valuations, or in the absence of broker-dealer supplied valuations, matrix pricing, a method of valuing securities by reference to the value of other securities with similar characteristics, such as rating, interest rate and maturity.

 

Certain short-term debt instruments will be valued on an amortized cost basis. Under this method of valuation, the instrument is initially valued at cost. For securities purchased at a discount or premium, the Fund assumes a constant proportionate amortization in value until maturity, regardless of the impact of fluctuating interest rates on the market value of the instrument. While the amortized cost method provides certainty in valuation, it may result in periods during which value, as determined by amortized cost, is higher or lower than the price that would be received upon sale of the instrument. The Committee may from time to time utilize a valuation method other than amortized cost when appropriate, for example, when credit worthiness of the issuer is impaired or for other reasons.

 

Fair Value Measurement

 

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:

 

Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities at the measurement date.

 

Level 2 — Observable inputs other than quoted prices included in Level 1 that are observable for the asset or liability, either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, quoted prices for similar instruments, interest rates, prepayment speeds, credit risk, yield curves, default rates, and similar data.

 

Level 3 — Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Fund’s own assumptions that a market participant would use in valuing the asset or liability based on the best information available.

 

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933 as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which a Fund’s net asset value is computed and that may materially affect the value of the Fund’s investment). Examples of events that may be “significant events” are government actions, natural disasters, armed conflicts and acts of terrorism.

 

The categorization of a value determined for investments is based on the pricing transparency of the investment and does not necessarily correspond to the Fund’s perceived risk of investing in those securities.

 

The valuation techniques used by the Fund to measure fair value during the period ended March 31, 2016 were intended to maximize the use of observable inputs and to minimize the use of unobservable inputs.

 

 

 

  

THL Credit Senior Loan Fund  
Notes to the Schedule of Investments (unaudited) (continued) March 31, 2016

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Fair Value Measurement (continued)

The following table summarizes the valuation of the Fund’s investments under the fair value hierarchy levels as of March 31, 2016:

 

Asset Type  Level 1   Level 2   Level 3   Total 
Senior Loans                    
Aerospace & Defense  $–   $1,634,224   $842,500   $2,476,724 
Automotive   –    430,931    2,362,526    2,793,457 
Banking, Finance, Insurance & Real Estate   –    465,653    3,456,774    3,922,427 
Beverage, Food & Tobacco   –    –    4,011,204    4,011,204 
Capital Goods   –    806,442    –    806,442 
Chemicals, Plastics & Rubber   –    587,306    –    587,306 
Construction & Engineering   –    –    2,350,000    2,350,000 
Consumer Products: Durables   –    –    1,446,715    1,446,715 
Consumer Products: Non Durables   –    4,144,235    235,286    4,379,521 
Consumer Products: Packaged Food   –    1,368,542    –    1,368,542 
Energy, Oil & Gas   –    3,445,070    854,167    4,299,237 
Healthcare & Pharmaceuticals   –    4,587,304    –    4,587,304 
Hotel, Gaming & Leisure   –    1,832,753    3,779,088    5,611,841 
Manufacturing   –    2,297,340    3,301,902    5,599,242 
Media: Advertising, Printing & Publishing   –    8,991,687    –    8,991,687 
Media: Broadcasting & Subscription   –    501,445    1,164,061    1,665,506 
Media: Diversified and Services   –    10,116,294    –    10,116,294 
Metals & Mining   –    –    429,274    429,274 
Packaging   –    1,910,963    –    1,910,963 
Paper & Forest Products   –    954,458    –    954,458 
Restaurants   –    2,664,384    1,886,938    4,551,322 
Retail   –    10,894,685    1,742,536    12,637,221 
Services: Business   –    12,350,039    6,132,318    18,482,357 
Services: Consumer   –    10,017,779    –    10,017,779 
Services: Rental   –    360,000    –    360,000 
Technology: Contract Manufacturing   –    –    1,308,434    1,308,434 
Technology: Hardware   –    2,726,116    –    2,726,116 
Technology: Semiconductor   –    625,692    –    625,692 
Technology: Services   –    11,858,513    2,380,853    14,239,366 
Technology: Software   –    13,091,994    –    13,091,994 
Telecommunications   –    8,796,398    4,110,903    12,907,301 
Transportation: Services   –    –    3,396,821    3,396,821 
Waste Management   –    –    1,962,466    1,962,466 
Wholesale   –    831,473    953,357    1,784,830 
Corporate Bonds*   –    9,516,581    –    9,516,581 
Common Stock*   –    462,393    –    462,393 
Money Market Fund   –    3,423,067    –    3,423,067 
Total Investments  $–   $131,693,761   $48,108,123   $179,801,884 

 

* Please refer to Schedule of Investments for breakdown of valuations by industry.

 

 

 

  

THL Credit Senior Loan Fund  
Notes to the Schedule of Investments (unaudited) (continued) March 31, 2016

 

2. SIGNIFICANT ACCOUNTING POLICIES (continued)

 

Fair Value Measurement (continued)

The following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining fair value:

 

   Senior Loans  

Corporate

Bonds

  

Common

Stock

   Total 
Balance as of December 31, 2015  $49,155,414   $1,441,875   $148,560   $50,745,849 
Realized gain (loss)   11,780    -    -    11,780 
Change in unrealized appreciation   (1,527,219)   -    -    (1,527,219)
Amortization (accretion)   34,521    -    -    34,521 
Purchases   -    -    -    - 
Sales and principal paydowns   (457,706)   -    -    (457,706)
Transfers in and/or out of Level 3   891,333    (1,441,875)   (148,560)   (699,102)
Balance as of March 31, 2016  $48,108,123   $-   $-   $48,108,123 

 

Net change in unrealized depreciation attributable to level 3 investments held at March 31, 2016 was $1,527,219.

 

There were no transfers between Level 1 and 2 during the period. It is the Fund’s policy to recognize transfers into and out of all levels at the beginning of the reporting period.

 

Information about Level 3 fair value measurements as of March 31, 2016:

 

    Fair Value     Valuation Technique   Unobservable Input
Senior Loans   $ 48,108,123     Third-party vendor service   Vendor quotes
                 

3. UNREALIZED APPRECIATION/(DEPRECIATION)

 

On March 31, 2016 based on cost of $192,701,978 for federal income tax purposes, aggregate gross unrealized appreciation for all securities in which there was an excess of value over tax cost was $840,656 and aggregate gross unrealized depreciation for all securities in which there was an excess of tax cost over value was $13,740,750 resulting in net unrealized depreciation of $12,900,094.

 

4. DELAYED DRAW LOAN COMMITMENTS

 

As of March 31, 2016, the Fund had no delayed draw loan commitment outstanding.

 

 

 

 

 Item 2. Controls and Procedures.

 

(a)The registrant’s principal executive and principal financial officers, or persons performing similar functions, have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”) (17 CFR 270.30a-3(c))) were effective, as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act (17 CFR 270.30a-3(b))) and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended (17 CFR 240.13a-15(b) or 240.15d-15(b)).

 

(b)There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act (17 CFR 270.30a-3(d)) that occurred during the registrant’s last fiscal quarter that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting.

 

Item 3. Exhibits.

 

Certifications pursuant to Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.

 

 

 

 

SIGNATURES

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

 

(Registrant) THL CREDIT SENIOR LOAN FUND

 

By (Signature and Title)* /s/ Steven A. Baffico
  Steven A. Baffico, President
  (principal executive officer)

 

Date May 26, 2016

 

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

 

By (Signature and Title)* /s/ Steven A. Baffico
  Steven A. Baffico, President
  (principal executive officer)

 

Date May 26, 2016

 

By (Signature and Title)* /s/ Jennifer Wilson
  Jennifer Wilson, Treasurer and Principal Financial Officer
  (principal financial officer)

 

Date May 26, 2016

 

* Print the name and title of each signing officer under his or her signature.